Portfolio choice under noisy asset returns

DOI10.1016/S0165-1765(96)00890-7zbMATH Open0900.90028MaRDI QIDQ673303FDOQ673303

Authors: Christian Gollier, Harris Schlesinger 

Publication date: 28 February 1997

Published in: Economics Letters (Search for Journal in Brave)

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zbMATH Keywords

Portfolio choiceIncreases in riskStandard risk aversion

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• The Efficiency Analysis of Choices Involving Risk
• Changes in Background Risk and Risk Taking Behavior
• Risk Vulnerability and the Tempering Effect of Background Risk
• Standard Risk Aversion
• Demand for risky financial assets: A portfolio analysis
• The Effects of Shifts in a Return Distribution on Optimal Portfolios
• Increases in prudence and increases in risk aversion
• Mean-preserving Portfolio Dominance
• The comparative statics of changes in risk revisited
• Strong Increases in Risk and Their Comparative Statics
• A Ratio Criterion for Signing the Effects of an Increase in Uncertainty
• Increases in Risk and Linear Payoffs
• A tale of two tails: an alternative characterization of comparative risk
• Comparative statics under uncertainty for a class of economic agents
• Necessary conditions for comparative statics under uncertainty
• First and Second Degree Transformations and Comparative Statics Under Uncertainty

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